public void UpdatesProperly()
{
var bar = new Bar();
bar.Update(10);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(10, bar.Low);
Assert.AreEqual(10, bar.Close);
bar.Update(20);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(20, bar.High);
Assert.AreEqual(10, bar.Low);
Assert.AreEqual(20, bar.Close);
bar.Update(5);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(20, bar.High);
Assert.AreEqual(5, bar.Low);
Assert.AreEqual(5, bar.Close);
bar.Update(11);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(20, bar.High);
Assert.AreEqual(5, bar.Low);
Assert.AreEqual(11, bar.Close);
}
public void HandlesAssetWithValidZeroPrice()
{
var bar = new Bar();
bar.Update(10);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(10, bar.Low);
Assert.AreEqual(10, bar.Close);
bar.Update(0);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(0, bar.Low);
Assert.AreEqual(0, bar.Close);
bar.Update(-5);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(-5, bar.Close);
bar.Update(5);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(5, bar.Close);
bar.Update(50);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(50, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(50, bar.Close);
}
public void DoesNotHandleAssetsWithZeroPrice()
{
var bar = new Bar();
bar.Update(10);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(10, bar.Low);
Assert.AreEqual(10, bar.Close);
// no update performed
bar.Update(0);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(10, bar.Low);
Assert.AreEqual(10, bar.Close);
bar.Update(-5);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(-5, bar.Close);
bar.Update(5);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(10, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(5, bar.Close);
bar.Update(50);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(50, bar.High);
Assert.AreEqual(-5, bar.Low);
Assert.AreEqual(50, bar.Close);
}
/// <summary>
/// Default initializer to setup an empty quotebar.
/// </summary>
public QuoteBar()
{
Symbol = Symbol.Empty;
Time = new DateTime();
Bid = new Bar();
Ask = new Bar();
AvgBidSize = 0;
AvgAskSize = 0;
Value = 0;
Period = TimeSpan.FromMinutes(1);
DataType = MarketDataType.QuoteBar;
}
/// <summary>
/// Update the quotebar - build the bar from this pricing information:
/// </summary>
/// <param name="lastTrade">The last trade price</param>
/// <param name="bidPrice">Current bid price</param>
/// <param name="askPrice">Current asking price</param>
/// <param name="volume">Volume of this trade</param>
/// <param name="bidSize">The size of the current bid, if available, if not, pass 0</param>
/// <param name="askSize">The size of the current ask, if available, if not, pass 0</param>
public override void Update(decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
{
// update our bid and ask bars - handle null values, this is to give good values for midpoint OHLC
if (Bid == null && bidPrice != 0) Bid = new Bar();
if (Bid != null) Bid.Update(bidPrice);
if (Ask == null && askPrice != 0) Ask = new Bar();
if (Ask != null) Ask.Update(askPrice);
if (bidSize > 0)
{
LastBidSize = (long) bidSize;
}
if (askSize > 0)
{
LastAskSize = (long) askSize;
}
// be prepared for updates without trades
if (lastTrade != 0) Value = lastTrade;
else if (askPrice != 0) Value = askPrice;
else if (bidPrice != 0) Value = bidPrice;
}